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Trading Strategy: Spreads / Volatility / Stock Indices
Program Description: The Volatility Trading Program is designed to exclusively trade VIX futures. The Advisor considers the current market environment in a broad sense and then looks to opportunistically place spread positions along the futures curve according to their relative value as determined by the Advisor's proprietary method. From time to time the Advisor may place a simple "long" or "short" position along the VIX futures curve to shift the portfolio's exposure and/or sensitivities. There are no trading restrictions or limitations placed on the Advisor and the Advisor reserves the right to trade in other futures markets, such as the E-mini S&P 500 and U.S Treasury futures, in times of market stress or illiquidity in order to hedge the portfolio's macro exposures.
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | 13.74% | 1.77% | -0.49% | 2.63% | -11.57% | 4.62% | 2.20% | -8.12% | 5.36% | 5.65% | 3.49% | 0.61% |
2020 | -5.78% | -6.93% | 6.62% | -4.55% | 1.69% | -7.09% | 10.05% | -0.48% | 2.82% | -1.98% | 20.62% | 3.45% |
2021 | -4.90% | 13.94% | 7.25% | 2.92% | 0.17% | 2.62% | 1.54% | 3.76% | -2.53% | 6.67% | -2.19% | 8.15% |
2022 | -7.94% | -6.34% | -1.37% | -3.01% | 3.02% | -6.99% | 6.24% | 0.14% | -3.83% | 0.94% | 5.00% | 1.66% |
2023 | 3.16% | -0.20% | -2.90% | 5.71% | 1.56% | 5.16% | 1.76% | 0.62% | -1.80% | -2.71% | 3.30% | 1.99% |
2024 | 0.56% | 1.07% | 1.09% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | 19.02% | 16.14% | 42.46% | -12.88% | 16.33% | 2.74% |
Max DD | -13.13% | -15.68% | -4.90% | -20.97% | -4.46% | 0.00% |
+++ Accounting Notes: Performance Shown starts in Feb 2017 which is when AP Futures registered as a CTA. For performance of AP Futures prior to Feb 2017 please contact the Advisor directly.
An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Feb 2017
*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.
Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of
2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.
This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.